^NBI vs. EFA

Last updated Jun 3, 2026

^NBI (NASDAQ Biotechnology Index) is an index, while EFA (iShares MSCI EAFE ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Over the past 10 years, ^NBI returned 6.82%/yr vs 9.21%/yr for EFA. A 0.56 correlation means they provide meaningful diversification when combined.

Performance

^NBI vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ Biotechnology Index (^NBI) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^NBI achieves a -0.11% return, which is significantly lower than EFA's 9.36% return. Over the past 10 years, ^NBI has underperformed EFA with an annualized return of 6.82%, while EFA has yielded a comparatively higher 9.21% annualized return.

^NBI

• 1D: -3.02%
• 1M: -1.70%
• YTD: -0.11%
• 6M: 0.83%
• 1Y: 37.53%
• 3Y*: 11.13%
• 5Y*: 3.74%
• 10Y*: 6.82%

EFA

• 1D: 0.56%
• 1M: 2.86%
• YTD: 9.36%
• 6M: 12.50%
• 1Y: 21.18%
• 3Y*: 16.77%
• 5Y*: 8.66%
• 10Y*: 9.21%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^NBI vs. EFA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^NBI NASDAQ Biotechnology Index	-0.11%	32.40%	-1.37%	3.74%	-10.91%	-0.63%	25.69%	24.41%	-9.32%	21.06%
EFA iShares MSCI EAFE ETF	9.36%	31.55%	3.49%	18.36%	-14.39%	11.45%	7.60%	22.04%	-13.82%	25.07%

Correlation

The correlation between ^NBI and EFA is 0.53, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.53
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.56
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Aug 20, 2001	0.56

The correlation between ^NBI and EFA has been stable across timeframes, ranging from 0.53 to 0.56 - a consistent structural relationship.

Return for Risk

^NBI vs. EFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^NBI

^NBI Risk / Return Rank: 75
^NBI Sharpe Ratio Rank: 64
^NBI Sortino Ratio Rank: 68
^NBI Omega Ratio Rank: 60
^NBI Calmar Ratio Rank: 94
^NBI Martin Ratio Rank: 90

EFA

EFA Risk / Return Rank: 41
EFA Sharpe Ratio Rank: 39
EFA Sortino Ratio Rank: 40
EFA Omega Ratio Rank: 40
EFA Calmar Ratio Rank: 39
EFA Martin Ratio Rank: 45

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^NBI vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Biotechnology Index (^NBI) and iShares MSCI EAFE ETF (EFA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	^NBI	EFA	Difference
Sharpe ratio Return per unit of total volatility	1.91	1.42	+0.49
Sortino ratio Return per unit of downside risk	2.70	2.05	+0.65
Omega ratio Gain probability vs. loss probability	1.32	1.26	+0.06
Calmar ratio Return relative to maximum drawdown	4.70	1.97	+2.74
Martin ratio Return relative to average drawdown	15.61	7.39	+8.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^NBI vs. EFA - Sharpe Ratio Comparison

The current ^NBI Sharpe Ratio is 1.91, which is higher than the EFA Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of ^NBI and EFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^NBI	EFA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.91	1.42	+0.49
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.17	0.53	-0.36
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.29	0.54	-0.24
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.31	+0.08

Drawdowns

^NBI vs. EFA - Drawdown Comparison

The maximum ^NBI drawdown since its inception was -74.70%, which is greater than EFA's maximum drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for ^NBI and EFA.

Drawdown Indicators

	^NBI	EFA	Difference
Max Drawdown Largest peak-to-trough decline	-74.70%	-61.04%	-13.66%
Max Drawdown (1Y) Largest decline over 1 year	-8.45%	-11.42%	+2.97%
Max Drawdown (3Y) Largest decline over 3 years	-24.08%	-14.05%	-10.03%
Max Drawdown (5Y) Largest decline over 5 years	-38.50%	-29.53%	-8.97%
Max Drawdown (10Y) Largest decline over 10 years	-38.50%	-34.19%	-4.31%
Current Drawdown Current decline from peak	-7.03%	-0.61%	-6.42%
Average Drawdown Average peak-to-trough decline	-26.61%	-11.94%	-14.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.55%	3.04%	-0.49%

Volatility

^NBI vs. EFA - Volatility Comparison

NASDAQ Biotechnology Index (^NBI) has a higher volatility of 6.98% compared to iShares MSCI EAFE ETF (EFA) at 5.12%. This indicates that ^NBI's price experiences larger fluctuations and is considered to be riskier than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^NBI	EFA	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.98%	5.12%	+1.86%
Volatility (6M) Calculated over the trailing 6-month period	15.36%	12.49%	+2.87%
Volatility (1Y) Calculated over the trailing 1-year period	19.84%	15.06%	+4.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.99%	16.48%	+5.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.43%	17.26%	+6.17%

Frequently Asked Questions

Can I hold both ^NBI and EFA in my portfolio?

^NBI and EFA have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^NBI or EFA?

^NBI has higher volatility (6.98%) compared to EFA (5.12%). In terms of maximum drawdown, ^NBI dropped -74.70% vs EFA's -61.04%.

Which has better risk-adjusted returns?

^NBI currently has the higher Sharpe Ratio (1.91 vs 1.42), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.